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A lightweight python library for bandit algorithms

Introduction

This library is intended to enable fast and robust comparison between different bandit algorithms. It provides following features:

• object-oriented design: this allows unnecessary environmental information to be hidden from learners. Besides, it is easy extend the library and implement new algorithms.
• multi-process support: it is not uncommon to run a game muitiple repetitions. One can run multiple repetitions simultaneously with this feature.
• friendly runtime information: useful information is provided when necessary, which reduces the difficulty of debug.

The library consists of four submodules and they are arms, bandits, learners and protocols respectively, among which protocols are those used to coordinate the interactions between the learner and the bandit environment.

Implemented Policies

Single player protocol

Multi-armed bandit

MNL bandit

Thresholding bandit

Linear bandit

Colaborative learning protocol

Multi-armed bandit

For a detailed description, please check the documentation.

Getting Started

Installing

Python version requirement: 3.7 or above.

Virtual environment: in order not to pollute your own environment, it is suggested to use python virtual environment. The following commands show the details to create and activate a virtual environment.

# Create a virtual environment `.env`
python3 -m venv .env
# Activate the environment
source .env/bin/activate

Then you can run the following command to install the banditpylib library.

make install

After finishing the usage of the library, you can use deactivate to deactive the virtual environment and what's more, you can safely delete the whole .env directory for cleanup.

The following shows other useful make commands.

make test
       run tests
make lint
       run pylint and mypy
make clean
       clean cache files
make fix
       run yapf to format all .py files
make all
       run make fix, make test, and make lint

We use pylint and mypy to check the code style. Please make sure no errors occur with make all when submitting a PR.

Example

Suppose we want to run algorithms Epsilon Greedy, UCB and Thompson Sampling, which aim to maximize the total rewards, against the ordinary multi-armed bandit environment with 3 Bernoulli arms. The following code blocks show the main logic.

Set up bandit environment

# Real means of Bernoulli arms
means = [0.3, 0.5, 0.7]
# Create Bernoulli arms
arms = [BernoulliArm(mean) for mean in means]
# Create an ordinary multi-armed bandit environment
bandit = MultiArmedBandit(arms=arms)

Set up learners

# Create learners aiming to maximize the total rewards
learners = [EpsGreedy(arm_num=len(arms)),
            UCB(arm_num=len(arms)),
            ThompsonSampling(arm_num=len(arms))]

Set up simulator and play the game

# Horizon of the game
horizon = 2000
# Set up simulator using single-player protocol
game = SinglePlayerProtocol(bandit=bandit, learners=learners)
# Record intermediate regrets after these horizons
intermediate_horizons = list(range(0, horizon+1, 50))
# Start playing the game and for each setup we run 200 trials
game.play(trials=200,
          intermediate_horizons=intermediate_horizons,
          horizon=horizon)

The following figure shows the simulation results.

Please check this notebook to figure out more details.

Bibtex Citation

@misc{BanditPyLib,
    title =   {{BanditPyLib: a lightweight python library for bandit algorithms}},
    author =  {Chester Holtz and Chao Tao and Guangyu Xi},
    year =    {2020},
    url =     {https://github.com/Alanthink/banditpylib},
    howpublished = {Online at: \url{https://github.com/Alanthink/banditpylib}},
    note =    {Documentation at \url{https://alanthink.github.io/banditpylib-doc}}
}

License

This project is licensed under the MIT License - see the LICENSE.txt file for details.

Acknowledgments

• This project is inspired by libbandit and banditlib which are both c++ libraries for bandit algorithms.
• This readme file is following the style of README-Template.md.
• The title is generated by TAAG.